Currency hedging strategies using dynamic multivariate GARCH
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Publication:2227443
DOI10.1016/J.MATCOM.2012.02.008zbMATH Open1499.91185OpenAlexW3124577313MaRDI QIDQ2227443FDOQ2227443
Authors: Chialin Chang, Lydia González-Serrano, Juan-Angel Jimenez-Martin 
Publication date: 15 February 2021
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://eprints.ucm.es/id/eprint/14831/1/1207.pdf
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Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- An econometric analysis of asymmetric volatility: theory and application to patents
- NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
- AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
- Empirical modeling of exchange rate dynamics
- Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
- Forecasting conditional correlations in stock, bond and foreign exchange markets
- Dynamic hedging with foreign currency futures in the presence of jumps
Cited In (11)
- Optimal hedge ratio estimation and effectiveness using ARCD
- Hedging the exchange rate risk for international portfolios
- Cross Currency Valuation and Hedging in the Multiple Curve Framework
- Hedging effectiveness of stock index futures
- Hedging with S&P500 and E-mini S&P500 stock index futures
- Dynamic currency futures and options hedging model
- The optimal foreign exchange futures hedge on the bitcoin exchange rate: an application to the U.S. Dollar and the Euro
- Dynamic hedging effectiveness in South Korean index futures and the impact of the Asian financial crisis
- Could the jump diffusion technique enhance the effectiveness of futures hedging models? A reality test
- The optimal multi-period hedging model of currency futures and options with exponential utility
- Dynamic hedging with foreign currency futures in the presence of jumps
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